Discrete-Time Mean-Field Stochastic H2/H∞ Control

被引：28
作者：
Zhang Weihai [1 ]
Ma Limin [1 ,2 ]
Zhang Tianliang [3 ]
机构：
[1] Shandong Univ Sci & Technol, Coll Elect Engn & Automat, Qingdao 266590, Peoples R China
[2] Qingdao Agr Univ, Sci & Informat Coll, Qingdao 266109, Peoples R China
[3] China Univ Petr East China, Coll Informat & Control Engn, Qingdao 266580, Peoples R China
来源：
JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY | 2017年 / 30卷 / 04期
基金：
中国国家自然科学基金;
关键词：
Discrete-time systems; H-2/H-infinity control; mean-field; H-INFINITY CONTROL; CONTROL DESIGN; DIFFERENTIAL-EQUATIONS; MULTIPLICATIVE NOISE; MAXIMUM PRINCIPLE; OUTPUT-FEEDBACK; DEPENDENT NOISE; SYSTEMS; STATE; OPTIMIZATION;
D O I：
10.1007/s11424-017-5010-6
中图分类号：
O1 [数学];
学科分类号：
0701 ; 070101 ;
摘要：
The finite horizon H-2/H-infinity control problem of mean-field type for discrete-time systems is considered in this paper. Firstly, the authors derive a mean-field stochastic bounded real lemma (SBRL). Secondly, a sufficient condition for the solvability of discrete-time mean-field stochastic linear-quadratic (LQ) optimal control is presented. Thirdly, based on SBRL and LQ results, this paper establishes a sufficient condition for the existence of discrete-time stochastic H-2/H-infinity control of meanfield type via the solvability of coupled matrix-valued equations.
引用
收藏
页码：765 / 781
页数：17
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